Quantitative Analyst, Equities Algorithmic Trading, VP

Overview

Citi's Markets Quantitative Analysis (MQA) group is seeking a highly skilled VP Quantitative Analyst to join its Equities team. This role is central to the research, design, implementation, and maintenance of cutting-edge Equities Execution Algorithms for Citi's clients and internal trading desks, with a specific focus on North America and LATAM markets. This position offers a unique opportunity to apply strong quantitative, technical, and soft skills to foster innovation within a collaborative team culture, directly impacting trading businesses, control functions, and the global client base.

• Algorithmic Development & Enhancement
  • Research, design, and implement improvements for existing and new algorithmic trading strategies (e.g., VWAP, liquidity seeking).
  • Develop and enhance quantitative models, including optimal schedule, market impact models, and short-term predictive signals (e.g., fair value).
  • Implement algorithm enhancements and customizations with production-quality code, applying best practices for modular, reusable, and robust trading components.
• Data Analysis & Modeling
  • Perform in-depth analysis of large datasets comprising market data, orders, executions, and derived analytics.
  • Apply statistical modeling and machine learning techniques for data analysis and signal generation.
  • Conduct flow analysis and performance tuning for various client flows.
  • Provide data and analysis to support initial model validation and ongoing performance analysis.
• Collaboration & Support
  • Collaborate closely with traders, risk managers, product, sales, and technology teams to integrate quantitative tools into daily workflows and address complex client requests.
  • Provide quantitative support and expertise for new product development.
• Risk Management & Compliance
  • Design and execute backtesting frameworks to assess model performance and robustness under different market conditions.
  • Maintain comprehensive documentation of models, methodologies, and validation processes, ensuring adherence to internal standards and regulatory requirements.
  • Work in partnership with Risk & Control, Legal, Compliance & Audit teams to ensure appropriate governance and compliance with industry regulations.
  • Appropriately assess risk when making business decisions, safeguarding Citigroup, its clients, and assets, and escalating control issues with transparency.
  • Adhere to Citi’s Code of Conduct, policies, and procedures, fostering a culture of responsible finance and ethics.

• Education: Advanced degree (Master's or Ph.D.) in a quantitative field such as Financial Engineering, Mathematics, Statistics, Physics, Computer Science, or a related discipline.
• Experience: Minimum 5 years of experience in quantitative analysis or model development within a trading environment at a financial institution, with at least 3 years focused on research and development of agency execution algorithms, smart order routing strategies, liquidity seeking strategies, market making strategies, or high-frequency trading strategies.
• Strong understanding of US Equity Algorithmic Trading and Market Microstructure. Knowledge of ETF trading is a plus.
• Experience with Predictive signal, Market Impact, and Optimal Trading schedule models is desirable.
• Technical
  
  Skills:
  
  Strong analytical and quantitative skills with a solid understanding of stochastic calculus, probability theory, and statistical modeling techniques.
• Programming, software design skills and Java experience desirable.
• Strong programming skills in Python or R (statistical programming languages).
• Experience with numerical libraries and data manipulation.
• Experience with Q/KDB or other time series databases is desirable.
• Licenses: Will be required to either already possess or apply upon arrival for Series 7 and 63 licenses.

Joining Citi means becoming part of a global institution committed to fostering an inclusive and diverse workplace where talent thrives. We believe in providing an environment where everyone feels comfortable coming to work as their whole self, every day. As a Quantitative Analyst VP, you will be offered competitive compensation,…